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Nicola Spagnolo · Study
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Author
Nicola Spagnolo
25 works
· latest 2024
· 4 institutions
cluster: provisional
ORCID 0000-0002-1663-2104
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25
Citations
2,317
Works here
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Most cited in this library
The price of terror: The effects of terrorism on stock market returns and volatility
2008 · 289 citations
Testing for contagion: a conditional correlation analysis
2005 · 251 citations
Global and regional spillovers in emerging stock markets: A multivariate GARCH-in-mean analysis
2010 · 202 citations
Oil price uncertainty and sectoral stock returns in China: A time-varying approach
2014 · 152 citations
Volatility Spillovers and Contagion from Mature to Emerging Stock Markets
2009 · 136 citations
Works
25 shown
The effects of physical and transition climate risk on stock markets: Some multi-Country evidence
International Economics
·
2024
·
4 authors
·
Open access
37
citations
Cyber-attacks, spillovers and contagion in the cryptocurrency markets
Journal of International Financial Markets Institutions and Money
·
2021
·
4 authors
·
Open access
86
citations
Non-linearities, cyber attacks and cryptocurrencies
Finance research letters
·
2019
·
4 authors
·
Open access
47
citations
International portfolio flows and exchange rate volatility in emerging Asian markets
Journal of International Money and Finance
·
2017
·
4 authors
·
Open access
77
citations
Macro news and bond yield spreads in the euro area
European Journal of Finance
·
2017
·
3 authors
·
Open access
34
citations
Macro news and exchange rates in the BRICS
Finance research letters
·
2016
·
3 authors
·
Open access
31
citations
Spillovers between food and energy prices and structural breaks
International Economics
·
2016
·
4 authors
·
Open access
106
citations
Macro news and stock returns in the Euro area: A VAR-GARCH-in-mean analysis
International Review of Financial Analysis
·
2016
·
3 authors
·
Open access
30
citations
Fiscal multipliers in good times and bad times
Journal of Macroeconomics
·
2015
·
3 authors
·
Open access
46
citations
Exchange rate uncertainty and international portfolio flows: A multivariate GARCH-in-mean approach
Journal of International Money and Finance
·
2015
·
3 authors
·
Open access
91
citations
Oil price uncertainty and sectoral stock returns in China: A time-varying approach
China Economic Review
·
2014
·
3 authors
·
Open access
152
citations
Volatility Spillovers and Contagion from Mature to Emerging Stock Markets
Review of International Economics
·
2013
·
4 authors
130
citations
Stock Market Integration between Three CEECs, Russia, and the UK
Review of International Economics
·
2011
·
2 authors
·
Open access
76
citations
Global and regional spillovers in emerging stock markets: A multivariate GARCH-in-mean analysis
Emerging Markets Review
·
2010
·
4 authors
202
citations
Liquidity Risk, Credit Risk and the Overnight Interest Rate Spread: A Stochastic Volatility Modelling Approach
SSRN Electronic Journal
·
2010
·
3 authors
·
preprint
·
Open access
57
citations
Volatility Spillovers and Contagion from Mature to Emerging Stock Markets
SSRN Electronic Journal
·
2009
·
4 authors
·
preprint
·
Open access
136
citations
The price of terror: The effects of terrorism on stock market returns and volatility
Economics Letters
·
2008
·
3 authors
289
citations
Volatility transmission and financial crises
Journal of Economics and Finance
·
2006
·
3 authors
131
citations
Testing for contagion: a conditional correlation analysis
Journal of Empirical Finance
·
2005
·
3 authors
·
Open access
251
citations
Modelling East Asian exchange rates: a Markov-switching approach
Applied Financial Economics
·
2004
·
2 authors
31
citations
IGARCH models and structural breaks
Applied Economics Letters
·
2003
·
3 authors
33
citations
Asset prices and output growth volatility: the effects of financial crises
Economics Letters
·
2003
·
2 authors
34
citations
Testing for causality‐in‐variance: an application to the East Asian markets
International Journal of Finance & Economics
·
2002
·
3 authors
121
citations
A test for volatility spillovers
Economics Letters
·
2002
·
3 authors
·
Open access
66
citations
Power Properties of Nonlinearity Tests for Time Series with Markov Regimes
Studies in Nonlinear Dynamics and Econometrics
·
2002
·
2 authors
23
citations